Learning To Simulate — mentioned by pinouchon

Fri, 29 Nov 2019 14:18:45 GMT

I use a supervised learning setup (although with a custom loss function). The kind of data augmentation I do is adding different candles sizes. I validate with 5m candles, but I train with 2,3,4,5,6,7m ones. I also sample more frequently more recent data. I train jointly with ~22 symbols, but in each X with those symbols, I randomly set some to 0, some I invert their price, some I invert time-wise. This helps generalization for some reason. I tried many kinds of noise, but what I described above is what I found to work best in my case. I have a more ambitious idea to generate synthetic data…

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Learning To Simulate · HackerPapers discussions

Learning To Simulate — mentioned by pinouchon